statsmodels.distributions.copula.api.FrankCopula.fit_corr_param¶
- FrankCopula.fit_corr_param(data)¶
Copula correlation parameter using Kendall’s tau of sample data.
- Parameters:¶
- dataarray_like
Sample data used to fit theta using Kendall’s tau.
- Returns:¶
- corr_param
float
Correlation parameter of the copula,
theta
in Archimedean and pearson correlation in elliptical. If k_dim > 2, then average tau is used.
- corr_param
Last update:
Oct 03, 2024